Update custom_authentication_provider.rst

Necessary to avoid : Failed to start the session because headers have already been sent
Changed link to docs instead of code
Removed repeating text
Removed "see section X" caution

Section is the next section after the caution, just 100px below
Improved list
Improved code readability
Moved caution directive to not break colon
Do not break twig syntax
[#2783] Putting back my a/b labels - I think this helps you track the sections and this area - since it deals with security - is very very important
Merge branch '2.2' into 2.3